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Quantsmile: Quantitative Portfolio Management Quantsmile: Quantitative Portfolio Management.

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Presentation on theme: "Quantsmile: Quantitative Portfolio Management Quantsmile: Quantitative Portfolio Management."— Presentation transcript:

1 Quantsmile: Quantitative Portfolio Management Quantsmile: Quantitative Portfolio Management

2 Index Company Introduction Why Quantsmile Quantitative Investment Process ◦ Portfolio Construction ◦ Portfolio Optimization ◦ Execution Management ◦ Risk Management ◦ Rebalancing Asset Management Services Offered by Quantsmile

3 Company Introduction Quantsmile is one of the top leading technology driven portfolio management companies based in Hong Kong Quantsmile is using quantitative approach in asset portfolio management

4 Why Quantsmile (1) 1. Good Reputation Being a regulated entity, it has built up its reputation in using advanced quantitative technology to earn alpha in portfolio management It is licensed by Hong Kong Securities and Futures Commission to conduct asset management business 2. Competitive Advantage It combines the pro of value investing process of the traditional fund and risk management solution of the hedge fund, to develop its own quantitative investment model With the use of systematic and quantitative “Value Investing” solution, Quantsmile searches for under-valued companies. Their share prices would benefit from up-side adjustment of the non- efficient market in short term to the efficient market in long term

5 Why Quantsmile (2) 3. Investment Team Quantsmile has experienced portfolio managers and strong quantitative research team It has a stable management team, and most of its portfolio managers have been working together for ten years at Quantsmile 4. Strive for Better Return Since management team allows research and investment process be implemented at the unit level, and the responsible portfolio manager having a degree of autonomy, these enable the portfolio be flexibly managed for better return 5. Prudent Approach We aim to minimize investment risk and preserve capital. We build a diversified portfolio with high quality and undervalued stocks, pre- determined constraints set in the model, and the use of derivatives products to hedge market risk

6 Quantitative Investment Process Involves: Portfolio Construction Portfolio Optimization Execution Management Risk Management Rebalancing

7 Portfolio Construction (1) Top-down investing approach Over-weight sectors which have outperforming potential Earn alpha through careful over- and under-weight different sectors against benchmark

8 Portfolio Construction (2) Select stocks within each sector in a value-investing framework Quantitative fundamentals (PE, PB, DCF valuation) are applied in the stock screening process One year target price will then be calculated based on the above assessment

9 Portfolio Construction (3) Research team provides fundamental studies on each sector and stocks for inclusion Investment management committee regularly reviews macro economic environment variables Review results will then be incorporated back to the stock selection process for portfolio adjustment

10 Portfolio Construction (4) Input one year of target price and stock volatility

11 Portfolio Construction (5) Industry Sector

12 Portfolio Construction (6) Over/Under-weighted Sectors

13 Portfolio Optimization (1) Selected stocks shall then undergo a series of fine-tuning Clients’ risk tolerance and return target are part of the optimization consideration

14 Portfolio Optimization (2) Efficient frontier derived from the CAPM model, combined with optimization parameters, will then generate an optimized portfolio set for implementation Constraints with minimum and maximum allowable portfolio weightings could be imposed

15 Portfolio Optimization (3) Constraints with Minimum & Maximum Weighting Conditions

16 Portfolio Optimization (4) Portfolio After Optimization and the Efficient Frontier

17 Execution Management If market-neutral strategy is selected, delta hedging is applied to the equities portfolio By eliminating the market exposure (beta), market out- performance becomes the alpha earned for the portfolio In executing equities buy and sell orders, quantitative and adaptative execution algorithm is employed to maximize VWAP

18 Risk Management Quantitative risk control measures such as Value-at-risk (VaR) are real-time monitored Portfolio with risk exceeding acceptable level will be scrutinized and appropriate action will be taken to bring risk exposure back to accepted level Up-to-date risk reports are always online and available to management team for review and actions, as needed

19 Rebalancing Market exposure is constantly reviewed and monitored using advanced reporting tools When certain exposure parameters have essentially shifted, dynamic rebalancing techniques will be put into action To lock in alpha, dynamic rebalancing will strive to adjust hedging proportion and execute equities buy (at low) and sell (at high) transactions

20 Investment Performance Record for Discretionary Account


22 Annual Return Date 10 - 12/2006 200720082009 1 - 9/2010 Discretionary Account14.93%61.03%-46.51%69.87%24.11% AlphaN/A31.19%10.07%13.94%21.45% Hang Seng Index13.80%39.31%-48.27%52.02%2.22% HSBC Global Investment Funds--HK Equity 46.60%-49.00%58.30%-6.80%

23 Investment Performance Record for Discretionary Account Cumulative Return Date1/10/2006 - 30/9/2010 Discretionary Account108.88% Hang Seng Index27.45% Hang Seng Total Return Index (HSTRI)42.45%

24 Asset Management Services Offered by Quantsmile Quantsmile has a full asset management licence and offers the following wealth management products: Discretionary asset management to all types of investors Portfolio Management Service as an outsourced fund manager for private equity fund and fund management company. This service will utilise the in-house developed AIS model to strive for higher Alpha return

25 Thank You

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